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Filtering by: Contributor Blais, Marcel Y. Unit (Department) Mathematical Sciences Publisher Worcester Polytechnic Institute

1. Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books

Keyword:: S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures
Creator:: Santawisook, Patchara
Advisor:: Sturm, Stephan
Publisher:: Worcester Polytechnic Institute
Date Created:: 2022-12-07
Resource Type:: Dissertation
Degree:: PhD
Unit (Department):: Mathematical Sciences

2. Portfolio Construction Using Principle Component Analysis

Keyword:: Principle Component Analysis
Creator:: Chen, Huanting
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2014-08-06
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

3. Modeling Volatility Derivatives

Keyword:: Modeling Volatility Derivatives
Creator:: Carr, Justin P
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2011-12-16
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

4. Pricing Options with Monte Carlo and Binomial Tree Methods

Keyword:: The Monte Carlo Methods
Creator:: Sun, Xihao
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2011-05-03
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

5. Option Pricing Using Monte Carlo Methods

Keyword:: GBM.Monte Carlo
Creator:: Wang, Junxiong
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2011-04-26
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

6. Computational Methods for Option Pricing

Keyword:: Monte Carlo GBM
Creator:: Fei, Bingxin
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2011-04-27
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

7. Identifying and Evaluating Early Stage Fintech Companies: Working with Consumer Internet Data and Analytic Tools

Keyword:: fintech, data analytics, data science, big data, Algorithm, Vestigo Ventures, Cogo Labs, and financial math
Creator:: Shoop, Alexander
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2018-01-24
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

8. Identifying and Evaluating Early Stage Fintech Companies: Working with Consumer Internet Data and Analytic Tools

Keyword:: Vestigo Ventures, big data, data science, fintech, Vestigo, Cogo Labs, financial math, data analytics, Cogo, and Algorithm
Creator:: Dymov, Khasan
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2018-01-24
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

9. Quantitative Risk Assessment for Residential Mortgages

Keyword:: home energy efficiency, regression, mortgage default risk, peer-to-peer, and loan lenders
Creator:: Ren, Qingyun
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2017-05-01
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

10. A Forex Trading System Using Evolutionary Reinforcement Learning

Keyword:: Algorithmic Trading, Machine Learning, Genetic Algorithms, Reinforcement Learning, and Foreign Exchange
Creator:: Song, Yupu
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2017-05-01
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences